/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.riskreward;
import static org.testng.AssertJUnit.assertEquals;
import org.testng.annotations.Test;
import com.opengamma.analytics.financial.timeseries.analysis.DoubleTimeSeriesStatisticsCalculator;
import com.opengamma.analytics.math.function.Function;
import com.opengamma.timeseries.DoubleTimeSeries;
import com.opengamma.timeseries.precise.instant.ImmutableInstantDoubleTimeSeries;
import com.opengamma.util.test.TestGroup;
/**
* Test.
*/
@Test(groups = TestGroup.UNIT)
public class SortinoRatioCalculatorTest {
private static final double PERIODS_PER_YEAR = 1;
private static final long[] T = new long[] {1};
private static final double STD_DEV = 0.30;
private static final DoubleTimeSeries<?> ASSET_RETURN = ImmutableInstantDoubleTimeSeries.of(T, new double[] {0.15});
private static final DoubleTimeSeries<?> RISK_FREE = ImmutableInstantDoubleTimeSeries.of(T, new double[] {0.12});
private static final DoubleTimeSeriesStatisticsCalculator EXCESS_RETURN = new DoubleTimeSeriesStatisticsCalculator(new Function<double[], Double>() {
@Override
public Double evaluate(final double[]... x) {
return x[0][0];
}
});
private static final DoubleTimeSeriesStatisticsCalculator STD = new DoubleTimeSeriesStatisticsCalculator(new Function<double[], Double>() {
@Override
public Double evaluate(final double[]... x) {
return STD_DEV;
}
});
private static final SharpeRatioCalculator SHARPE = new SharpeRatioCalculator(PERIODS_PER_YEAR, EXCESS_RETURN, STD);
@Test
public void test() {
final double assetReturn = 0.15;
final double benchmarkReturn = 0.12;
final double standardDeviation = 0.30;
assertEquals(new SortinoRatioCalculator().calculate(assetReturn, benchmarkReturn, standardDeviation), SHARPE.evaluate(ASSET_RETURN, RISK_FREE), 0);
}
}